Inflation Risks And Inflation Risk Premia
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Inflation Risks And Inflation Risk Premia
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Author : Juan Angel García
language : en
Publisher:
Release Date : 2010
Inflation Risks And Inflation Risk Premia written by Juan Angel García and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Inflation Risk Premia In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2007
Inflation Risk Premia In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Banks and banking, Central categories.
"This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date." - - Abstract.
Inflation Risk Premia In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2013
Inflation Risk Premia In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically signifcant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date.
Inflation Risks And Products
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Author : Brice Benaben
language : en
Publisher:
Release Date : 2008
Inflation Risks And Products written by Brice Benaben and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Asset-liability management categories.
Explains in detail both the connection of financial instruments with inflation risk, and what are the opportunities in the inflation-linked products today and their strategic application in the future. This multi-contributor book allows professionals to learn from the sector's foremost experts, and is written for product structurers, inflation traders, corporate and financial institution treasurers, and hedge fund managers.
Inflation Risk Premia In The Us And The Euro Area
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2010
Inflation Risk Premia In The Us And The Euro Area written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Inflation (Finance) categories.
Inflation Risk Premia In The Term Structure Of Interest
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2007
Inflation Risk Premia In The Term Structure Of Interest written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Interest rates categories.
The Yield Curve And Financial Risk Premia
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Author : Felix Geiger
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-17
The Yield Curve And Financial Risk Premia written by Felix Geiger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-17 with Business & Economics categories.
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
The Inflation Risk Premium In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2013
The Inflation Risk Premium In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been relatively small but positive. They have exhibited an increasing pattern with respect to maturity for the euro area and a flatter one for the United States. Furthermore, the estimates imply that risk premia vary over time, mainly in response to fluctuations in economic growth and inflation.
Inflation Fisher Equation And The Term Structure Of Inflation Risk Premia
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Author : Ren-Raw Chen
language : en
Publisher:
Release Date : 2010
Inflation Fisher Equation And The Term Structure Of Inflation Risk Premia written by Ren-Raw Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
In this paper, we study inflation risk and the term structure of inflation risk premia in the U.S. nominal interest rates through the Treasury Inflation Protection Securities (TIPS) and an analytical two-factor Cox-Ingersoll-Ross (CIR) model with correlated real rate and inflation. The analytical formula facilitates the estimation of the model parameters and improves the accuracy of the valuation of nominal rates and TIPS, and especially enables us to estimate the term structure of inflation risk premia.We use the two-factor model to evaluate the inflation-index bonds and study the relationship between the real rate and the expected inflation rate implied by the nominal Constant Maturity Treasury (CMT) rates for the period of January 1998 through December 2004. We use the Unscented Kalman Filter (UKF) to estimate the model and the inflation risk premium. The empirical evidence indicates that the expected inflation rate, as opposed to those derived from the consumer price indexes, is very stable and the inflation risk premia demonstrate a steep term structure.
Inflation Expectations
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Author : Peter J. N. Sinclair
language : en
Publisher: Routledge
Release Date : 2009-12-16
Inflation Expectations written by Peter J. N. Sinclair and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-16 with Business & Economics categories.
Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.